
Mauro Cesa
Quant finance editor
Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division.
The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the University of Trieste and a masters in quant finance from the University of Brescia.
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Articles by Mauro Cesa
Podcast: Villani and Musaelian on a quantum boost for machine learning
Classical methods struggle with highly dimensional problems. Quantum cognition takes a different approach, as hedge fund duo explain
A mix of Gaussian distributions can beat GenAI at its own game
Synthetic data is seen as the preserve of AI models. A new paper shows old methods still have legs
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
‘This is not a wobble’: Brunello Rosa on the path to de-dollarisation
Digital currencies will play a central role as China challenges US hegemony, says economist
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Quants should take care with synthetic data – Lehalle
Synthetic data creates an illusion of certainty and risks messing up portfolio construction, says quant
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
BlackRock tests ‘quantum cognition’ AI for high-yield bond picks
Study uses Qognitive machine learning model to find liquid substitutes for hard-to-trade securities
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift